The purpose of this research is to investigate the correlation between bond yields and Shariah equity index from 2007 2019. Multivariate-GARCH Dynamic Conditional Correlation (DCC) model applied daily data indices five markets, namely conventional bond, corporate sukuk, government as well Islamic market, which represented by FTSE Bursa Malaysia EMAS Shariah. empirical evidence reveals a substan...

Este artículo analiza el efecto contagio de los mercados latinoamericanos y Estados Unidos durante la pandemia por COVID-19, utilizando modelo DCC-GARCH. El principal hallazgo es existencia un contagio, estadísticamente sig­nificativo, periodo crisis entre EE.UU. Chile, Perú, Colombia, México Brasil. Ello implica que estos se encontra­ron expuestos a choques externos en COVID-19. Particularment...

This study investigates return and asymmetric volatility spillovers dynamic correlations between the main small medium-sized enterprise (SME) stock markets in Saudi Arabia Egypt for periods before during COVID-19 pandemic. Return are modelled using a VAR-asymmetric BEKK–GARCH (1,1) model, while DCC–GARCH model is employed to conditional these markets, which then used determine explore portfolio...

This study investigates how monetary policies impacted China’s capital (stock and bond) markets during 2010–16 by employing the dynamic conditional correlation GARCH (DCC-GARCH) model. The results indicate that both 2013 credit crisis 2015 stock market crash are closely related to policies. In 2013, excessive lending in banking sector government’s affected bond market. Consequently, occurred th...

This study examines whether Islamic gold-backed cryptocurrencies (Onegram and X8X) provide any diversification benefits to the investors of Indonesia. We co-movements between return volatility Indonesian equity indices during pre-COVID-19 COVID-19 periods. employ Multivariate Generalized Autoregressive Conditional Heteroscedastic-Dynamic Correlation (M-GARCH-DCC) Continuous Wavelet Transforms (...

Abstract The popularity of social media facilitates the dissemination private information, which has significant implications for investors’ behavior and market efficiency. This paper examines dynamic dependence between internet postings herd in China’s open-end fund by applying DCC-GARCH TVP-SV-VAR models. results show that relationship is time-varying asymmetric. Specifically, have a negative...

COVID-19 pandemic made investor to be careful choose the portfolio instrument. A that is formed by right instrument certainly can minimize risks and maximize return. This research analyzes dynamic gold leading stocks in period, which better than alone. The data used secondary data, LQ-45 index daily closing price world prices. also uses risk free rate taken from bi.go.id. analysis technique thi...